As someone who enjoys (especially when I was younger) lucid dreaming, I found Inception well researched, and definitely dove into themes like consciousness, agency, and the reality (or unreality) of cause+effect in human behavior (but even more just the raw experience of lucid dreaming). These are universal themes but quite difficult to explore concretely without resort to contrivance like lucid dreaming (Inception), time reversal (Tenet) or amnesia & reverse narration (Memento). Memento was much more focused on the mental state of both the protagonist and audience, and in that sense was a better dramatic film. Tenet and Inception were much focused on the universe model. Interstellar seemed to be an attempt by Nolan to put human connection and emotion at the center, specifically the transcendence of love, but that approach wasn't a good fit for Nolan's personality or his technical and artistic skills.
Michael Bay is much more an action filmmaker than Nolan, and yet he also arguably has a much better feel for satiating people emotionally than Nolan. For the most part both make movies with greater appeal to men, but Nolan's more intellectual approach comes closer to being of cross-gender interest, IMO.
I wouldn't call Nolan's movies fantasy at all. At their core they're pure sci-fi, more than most sci-fi films. He starts with some curious bit of science (biology, physics, etc), rigorously maps out a story that sticks close to the science except for a single conceit, and builds a blockbuster around it with a dramatic structure that serves the exploration of the technical details more than the human drama. But Nolan has a unique style, and he's also clearly pursuing some very technical interests wrt movie making at least as much as the details of the story. So his movies are difficult to categorize beyond being, for most of his career, blockbuster-scale action flicks, for which he also has an excellent aptitude, which is still a skill, notwithstanding that it's considered crass.
Without having seen Odyssey, I assume it follows his same formula, except the core technical theme follows some obscure question (even to scholars) of culture or storytelling, a thread much more difficult to identify and follow because it more easily blends into the background (and foreground?), both for average viewers and Odyssey buffs alike.